This paper addresses the problem of finding an optimal dividend policy for a class of jump-diffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components are assumed to satisfy some regularity and growth restrictions. Each...

We consider in this paper that the reserve of an insurance company follows the classical model, in which the aggregate claim amount follows a compound Poisson process. Our goal is to minimize the ruin probability of the company assuming that the management can invest dynamically part of the...

We give a complete solution to the problem of minimizing the expected liquidity costs in the presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is...

We consider in this paper that the reserve of an insurance company follows the classical model, in which the aggregate claim amount follows a compound Poisson process. Our goal is to minimize the ruin probability of the company assuming that the management can invest dynamically part of the...

We study two practical optimization problems in relation to venture capital investments and/or Research and Development (R&D) investments. In the first problem, given the amount of the initial investment and the cash flow structure at the initial public offering (IPO), the venture capitalist...

We consider a firm facing random demand at the end of a single period of random length. At any time during the period, the firm can either increase or decrease inventory by buying or selling on a spot market where price fluctuates randomly over time. The firm’s goal is to maximize expected...

We study two practical optimization problems in relation to venture capital investments and/or Research and Development (R&D) investments. In the first problem, given the amount of the initial investment and the cash flow structure at the initial public offering (IPO), the venture capitalist...

We consider a class of two-sided singular control problems. A controller either increases or decreases a given spectrally negative Lévy process so as to minimize the total costs comprising of the running and controlling costs where the latter is proportional to the size of control. We provide...

This paper represents a model for the financial valuation of a firm which has control on the dividend payment stream and its risk, as well as potential profit by choosing different business activities among those available to it. Furthermore the company invests its free reserve in an asset,...